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st: RE: Question on Dfactor and Gaps in Time Series


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Question on Dfactor and Gaps in Time Series
Date   Mon, 11 Oct 2010 10:59:02 +0100

I'd look more closely at the data to see what gaps exist before -tsfill- and whether it actually makes any difference. 

Weeks are awkward. Stata's weeks are defined so that week 1 of any year begins on 1 January and there are always 52 weeks in any year, the last being 8 or 9 days long. It may be those assumptions doesn't map perfectly on to your data somehow. They don't often correspond to the way that stock markets are reported, I guess. 

Either way, -dfactor- is bailing out very early, and the most natural thing to do is to look at the data. I doubt that -dfactor- is being dumb, or that its recent introduction to Stata is of consequence here. 

Nick 
n.j.cox@durham.ac.uk 

Degas Wright

I am using the dfactor command and have run into the gap in time series
error. My data is price (p), volume (v) and earnings yield (ep) and I am
trying to develop a dynamic factor model using the dfactor command. My
code is:

tsset
        time variable:  date, 2008w25 to 2010w40
                delta:  1 week

. dfactor(D.(p v ep)=,noconstant)(f=,ar(1/2))
gaps in the time series are not allowed
r(459);

. tsfill,full

tsset
        time variable:  date, 2008w25 to 2010w40
                delta:  1 week

. dfactor(D.(p v ep)=,noconstant)(f=,ar(1/2))
gaps in the time series are not allowed
r(459);

It appears that the dfactor command is not recognizing the tsfill, full
step.  The dfactor is a relatively new command and I did not see
anything regarding the time gap issue and dfactor on the FAQ.


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